Book Model

A B C D E F
1 Asset Allocation Analysis: Risk and Return
2 Expected Standard Correlation
3 Return Deviation Coefficient Covariance
4 Security 1 8.00% 12.00% 0.3000 0.0072
5 Security 2 13.00% 20.00%
6 T-Bill 5.00% 0.00%
7
8 Weight Weight Expected Standard Reward to
9 Security 1 Security 2 Return Deviation Variability
10 1.0 0.0 0.08000 0.12000 0.25000
11 0.9 0.1 0.08500 0.11559 0.30281
12 0.8 0.2 0.09000 0.11454 0.34922
13 0.7 0.3 0.09500 0.11696 0.38474
14 0.6 0.4 0.10000 0.12264 0.40771
15 0.5 0.5 0.10500 0.13115 0.41937
16 0.4 0.6 0.11000 0.14199 0.42258
17 0.3 0.7 0.11500 0.15466 0.42027
18 0.2 0.8 0.12000 0.16876 0.41479
19 0.1 0.9 0.12500 0.18396 0.40771
20 0.0 1.0 0.13000 0.20000 0.40000
21
22 Minimum Variance Portfolio
23 Short Sales No Short
24 Allowed Sales
25 Weight 1 0.82000 0.82000
26 Weight 2 0.18000 0.18000
27 Return 0.08900 0.08900
28 Risk 0.11447 0.11447
29
30 Optimal Risky Portfolio
31 Short Sales No Short
32 Allowed Sales
33 Weight 1 0.40000 0.40000
34 Weight 2 0.60000 0.60000
35 Return 0.11000 0.11000
36 Risk 0.14199 0.14199 LEGEND:
37 Reward-to-Variability 0.42258 0.42258 Enter data
38 Value calculated
39 Optimal Portfolio w/ Risk-Free Asset See comment
40 Desired rate of return 12.00%
41 Weight: Optimal Portfolio 1.16667
42 Weight: Risk-Free Asset -0.16667
43 Expected Return 0.12000
44 Standard Deviation 0.16565
45
46 Optimal Portfolio w/o Risk-Free Asset
47 Desired rate of return 12.00%
48 Weight 1 0.20000
49 Weight 2 0.80000
50 Expected Return 0.12000
 OLC Model

A B C D E F
1 Asset Allocation Analysis: Risk and Return
2 Expected Standard Correlation
3 Return Deviation Coefficient Covariance
4 Security 1 8.00% 12.00% 0.3000 0.0072
5 Security 2 13.00% 20.00%
6 T-Bill 5.00% 0.00%
7
8 Weight Weight Expected Standard Reward to
9 Security 1 Security 2 Return Deviation Variability
10 1.0 0.0 0.08000 0.12000 0.25000
11 0.9 0.1 0.08500 0.11559 0.30281
12 0.8 0.2 0.09000 0.11454 0.34922
13 0.7 0.3 0.09500 0.11696 0.38474
14 0.6 0.4 0.10000 0.12264 0.40771
15 0.5 0.5 0.10500 0.13115 0.41937
16 0.4 0.6 0.11000 0.14199 0.42258
17 0.3 0.7 0.11500 0.15466 0.42027
18 0.2 0.8 0.12000 0.16876 0.41479
19 0.1 0.9 0.12500 0.18396 0.40771
20 0.0 1.0 0.13000 0.20000 0.40000
21
22 Minimum Variance Portfolio
23 Short Sales No Short
24 Allowed Sales
25 Weight 1 0.82000 0.82000
26 Weight 2 0.18000 0.18000
27 Return 0.08900 0.08900
28 Risk 0.11447 0.11447
29
30 Optimal Risky Portfolio
31 Short Sales No Short
32 Allowed Sales
33 Weight 1 0.40000 0.40000
34 Weight 2 0.60000 0.60000
35 Return 0.11000 0.11000
36 Risk 0.14199 0.14199
37 Reward-to-Variability 0.42258 0.42258 LEGEND:
38 Enter data
39 Optimal Portfolio w/ Risk-Free Asset Value calculated
40 Desired rate of return 12.00% See comment
41 Weight: Optimal Portfolio 1.16667
42 Weight: Risk-Free Asset -0.16667
43 Expected Return 0.12000
44 Standard Deviation 0.16565
45
46 Optimal Portfolio w/o Risk-Free Asset
47 Desired rate of return 12.00%
48 Weight 1 0.20000
49 Weight 2 0.80000
50 Expected Return 0.12000